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Does idiosyncratic risk really matter?
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DOI：10.1111/j.1540-6261.2005.00750.x.png)
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摘要
En 中文
Goyal and Santa-Clara (2003) find a significantly positive relation between the equal-weighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value-weighted portfolio returns and the median and value-weighted average stock volatility.
Keyword:
STOCK RETURNS
MARKET
VOLATILITY
MODEL
HETEROSKEDASTICITY
TIME
EQUILIBRIUM
PREMIUM
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期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
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